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Financial Derivatives Modeling

Medium: Buch
ISBN: 978-3-642-22154-5
Verlag: Springer
Erscheinungstermin: 26.08.2011
Lieferfrist: bis zu 10 Tage

This book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The intended reader has a solid mathematical background and is a graduate/final-year undergraduate student specializing in Mathematical Finance, or works at a financial institution such as an investment bank or a hedge fund.


Produkteigenschaften


  • Artikelnummer: 9783642221545
  • Medium: Buch
  • ISBN: 978-3-642-22154-5
  • Verlag: Springer
  • Erscheinungstermin: 26.08.2011
  • Sprache(n): Englisch
  • Auflage: 2011
  • Produktform: Gebunden
  • Gewicht: 664 g
  • Seiten: 319
  • Format (B x H x T): 160 x 241 x 23 mm
  • Ausgabetyp: Kein, Unbekannt
Autoren/Hrsg.

Autoren

Derivatives Pricing Basics: Pricing by Replication.- Static Replication.- Dynamic Replication.- Derivatives Modeling in Practice.- Skew and Smile Techniques: Continuous Stochastic Processes.- Local Volatility Models.- Stochastic Volatility Models.- Lévy Models.- Exotic Derivatives: Path-Dependent Derivatives.- High-Dimensional Derivatives.- Asset Class Specific Modeling: - Equities.- Commodities.- Interest Rates.- Foreign Exchange.- Mathematical Preliminaries.